Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0233 |
| Annualized Std Dev | 0.2797 |
| Annualized Sharpe (Rf=0%) | 0.0834 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1436 |
| Quartile 1 | -0.0076 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0088 |
| Maximum | 0.1918 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0176 |
| Skewness | -0.0527 |
| Kurtosis | 10.2825 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0127 |
| Gain Deviation | 0.0125 |
| Loss Deviation | 0.0137 |
| Downside Deviation (MAR=210%) | 0.0172 |
| Downside Deviation (Rf=0%) | 0.0126 |
| Downside Deviation (0%) | 0.0126 |
| Maximum Drawdown | 0.8410 |
| Historical VaR (95%) | -0.0261 |
| Historical ES (95%) | -0.0426 |
| Modified VaR (95%) | -0.0253 |
| Modified ES (95%) | -0.0339 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-02-22 | 2009-03-09 | NA | -0.8410 | 5304 | 2274 | NA |
| 1999-02-03 | 1999-04-13 | 1999-07-02 | -0.1875 | 105 | 48 | 57 |
| 1999-09-15 | 1999-12-15 | 1999-12-22 | -0.1301 | 70 | 65 | 5 |
| 2000-01-28 | 2000-01-31 | 2000-02-07 | -0.0985 | 7 | 2 | 5 |
| 1999-07-16 | 1999-08-12 | 1999-08-23 | -0.0769 | 27 | 20 | 7 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 1.5 | 0.5 | -2.8 | -1.7 | 0.5 | 1.5 | 0 | -1.2 | -2.7 | 1.7 | 1.8 | 2.9 | 1.9 |
| 2000 | 1.6 | 2 | 7.4 | 5.9 | 4.9 | 0.8 | 3.9 | 1 | -1 | 2.3 | 3.5 | 0.6 | 37.9 |
| 2001 | -1.1 | -3.1 | 0.5 | 1.7 | 0.2 | 0.9 | 0 | 0.1 | -1.4 | 0.2 | 0.9 | -0.2 | -1.4 |
| 2002 | 1.3 | -1.3 | -0.8 | -0.6 | 0.3 | -5.6 | -2.1 | -0.2 | -0.4 | -0.2 | -1.1 | 1.4 | -9.2 |
| 2003 | -0.4 | -1.1 | 3.2 | 1.9 | -0.1 | -1.5 | -1.3 | 0.3 | 2.4 | 1 | 0.5 | -1.6 | 3.4 |
| 2004 | -2.5 | -0.1 | 0.6 | -0.1 | -1 | -0.1 | 1.4 | 0.6 | -0.4 | -0.6 | 0.6 | -0.4 | -1.9 |
| 2005 | 1.4 | 0.7 | 0.3 | 0.1 | 0.1 | 1 | 0 | 0.8 | 0.3 | -0.1 | 0.4 | -0.4 | 4.8 |
| 2006 | 1.2 | 1.2 | 0.4 | 0.4 | 0.7 | 3.8 | -0.6 | 0.1 | 0.7 | -0.7 | -0.7 | 0.2 | 6.7 |
| 2007 | 0.5 | -1.1 | 1.6 | -0.2 | 0.6 | -0.7 | -0.6 | 1.6 | 0.9 | -1.3 | -0.2 | 1 | 2.1 |
| 2008 | 1.8 | -2.2 | 2.2 | 1.5 | 0.3 | 0 | -0.2 | -0.9 | -0.5 | 2.1 | -7.2 | 1.2 | -2.3 |
| 2009 | -0.1 | -3.9 | -1.2 | 0 | 1 | -1 | 0.8 | -2.2 | -1.6 | -2.7 | 1.1 | 0.7 | -8.9 |
| 2010 | 0.6 | 2.2 | 1 | -1.4 | -1.4 | -1.5 | 0.7 | 1.9 | 0 | 2.3 | 1.2 | -1.1 | 4.5 |
| 2011 | 1 | -0.9 | 0.6 | 0.4 | -2.9 | 0.3 | -0.3 | -0.7 | -1.2 | -0.7 | -0.2 | -0.2 | -4.7 |
| 2012 | 0.6 | 0.6 | 1.2 | 1.3 | -3.9 | 3.6 | 0.2 | 0.2 | 0 | 1.7 | 0.1 | 0.6 | 6.2 |
| 2013 | 0.9 | 0.5 | 0.9 | 0 | -0.9 | 2.3 | 2.3 | -1.3 | 1.1 | -0.6 | 0.3 | -1.1 | 4.4 |
| 2014 | -0.9 | -1.6 | 3.1 | 1.1 | -2.3 | 1.8 | -1.3 | 0.4 | -1.3 | 1 | -2 | 0 | -1.9 |
| 2015 | -1 | -0.8 | -1.1 | 1.6 | 0.5 | 1.2 | 1 | -2.1 | 3.3 | 0.2 | 0.1 | -0.3 | 2.7 |
| 2016 | -0.1 | 4.3 | 2.8 | -3.9 | 0.9 | 2.5 | 1.4 | -0.4 | 1.4 | 0.7 | -1.4 | -1.2 | 7.1 |
| 2017 | 0.9 | 0.9 | 0.5 | 0.5 | 1.5 | -1 | -1.1 | 0.7 | 1.3 | -0.9 | 0.1 | -0.2 | 3.3 |
| 2018 | 0.3 | -0.5 | 0.7 | -0.1 | 0.2 | 2.1 | 0.6 | 0.1 | -0.3 | 2.5 | 1.7 | -0.7 | 6.7 |
| 2019 | 0.6 | 1.5 | -0.3 | -0.4 | -1.7 | 0.7 | -0.4 | -0.7 | -1.1 | 1.7 | 0.1 | 0.3 | 0.3 |
| 2020 | -2.1 | -2 | -5.1 | -3.1 | -0.1 | 0.7 | -1.5 | -1.3 | 0.5 | -1.7 | 0.8 | -0.2 | -14.2 |
| 2021 | 0.6 | 1.3 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
